Dear statalists,
In my mind, the result of -heckman- is the same as the result of -reg- with lambda as an additional independent variable. However, I found something different.
I typed the following in the stata, and the related results are as followings.
. qui heckman wage educ age, select(married children educ age) twostep mills(mill)
. qui predict double yheck if wage!=.
. qui corr yheck wage if wage!=.
. di r(rho)^2
.2512235
. qui reg wage educ age mill if wage!=.
. qui predict double yreg if wage!=.
. qui corr yreg wage if wage!=.
. di r(rho)^2
.27934983
. su yheck yreg
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
yheck | 1343 21.96174 3.717985 14.79669 32.88486
yreg | 1343 23.69217 3.332614 16.22861 33.78897
The predicted value should be the same and the R-squared should be the same too.
Why different?
Hope for any help and thank you very much.
Best regards,
Rose.
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